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Volatility levels in the market notched higher on Monday morning as protests in China continued over COVID lockdowns, which carried with it some risk levels to global indicies. The S&P VIX (VIX) sits above the 22 level after the holiday shortened trading week.
PriceVol Indicator
Looking towards PriceVol, which is an indicator aimed to measure the complete market volatility of the entire S&P 500 it had an average daily reading last week of 9.8. The 9.8 level was just shy of the 10 handle, which indicates to investors that markets are in bear market territory.
Looking ahead, this week volatility figures will be focused on employment and inflation data in order to get a read on the Fed’s next interest rate move.
Where has volatility been seen?
Even though the S&P (SP500) and its mirroring ETFs (NYSEARCA:SPY), (NYSEARCA:VOO), and (IVV) tracked higher last week, PriceVol levels were seen to be elevated in specific sectors.
The two segments that experienced PriceVol readings above 10 were the Consumer Discretionary (XLY) segment with a 14.7 marker and the Health Care (XLV) space, which had a level of 11.3. Consumer Staples (XLP) on the other hand had the lowest PriceVol level on the week at 4.7.
See a breakdown of each sector’s PriceVol level over the past week below:
The ASYMmetric S&P 500 ETF (NYSEARCA:ASPY) is an ETF constructedas an offshoot to the PriceVol indicator. The fund works as a quantitative long/short hedging strategy that seeks to offer investors a backstop against bear market selloffs by being net short, while also seeks to capture the majority of bull market gains, by being net long.
In other volatility news, volatility-based ETFs and ETNs have recently come down over the past month, as the VIX eased to its lowest level in three months.
